Title   name
2018 KAIST-HKUST-NUS Joint Workshop in Mathematics : Analysis, PDE and Probability
  Speaker   Lee, Jioon    
  Date 2018-11-15
  Place KAIST
  File  의 1 번째 Real Media 동영상입니다.
Abstract : We consider the problem of detecting the presence of the signal in a rank-one signal-plus-noise data matrix. In case the signal-to-noise ratio is under a certain threshold, we propose a hypothesis testing based on the linear spectral statistics of the data matrix. The proposed test does not depend on the distribution of the signal or the noise, and the error of the test matches that of the likelihood ratio test, which minimizes the sum of the Type-I and Type-II errors. As an intermediate step, we establish a central limit theorem for the linear spectral statistics of rank-one spiked Wigner matrices for a general spike. This is a joint work with Hye Won Chung.